RISK MODELLING & VALIDATION TRAINING FOR BASEL II-III (28-29 APRIL 2016)

Introduction to Risk Modelling

  • Risk Concept
  • Random Variables
  • Probability Distributions
  • Risk Models
  • Monte Carlo Simulation
  • VaR
  • Case Studies
  • Risk-based NPV model
  • Share certificate portfolio VaR model
  • Bond portfolio VaR model
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Risk Modelling Applications for Basel II-III
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Case Study - Market Risk Model - Bond Portfolio VaR/ Risk Capital Model

  • Interest Model
  • Expected Return and Interest Sensitivity of Bond Portfolio
  • VaR, Risk Capital, Risk-Based Return, RAROC
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Case Study - Loan Risk Model

  • Rating System and Probability of Default (PD) Estimations
  • Exposure at Default (EAD)
  • Loss Given Default (LGD)
  • VaR, Risk Capital, Risk-Based Return, RAROC
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Case Study - Operational Risk Model
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  • Event Frequency Distribution
  • Event Severity Distribution
  • Consolidated Loss Distribution
  • Expected Loss, Unexpected Loss, VaR, Risk Capital
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Validation & Audit
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Risk Model Validation Techniques
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Back-testing Applications
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  • Determination of Back-testing Criteria
  • Back-testing Application
  • Review of Risk Models
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Back-testing Case Studies - Example Models
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  • Market Risk Model
  • Credit Risk Model
  • Operational Risk Model
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Case Studies - Review of Example Models
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  • Historical Data Verifications
  • Expert Opinion Verifications
  • Basic Assumption Reviews
  • Scenario Analysis
  • Sensitivity Analysis
  • Stress Analysis

RoyalCert Group’s References